Simulation of Lvy-driven Ornstein-Uhlenbeck processes with given marginal distribution
A simulation procedure for obtaining discretely observed values of Ornstein-Uhlenbeck processes with given (self-decomposable) marginal distribution is provided. The method proposed, based on inversion of the characteristic function, completely circumvents the problems encountered when trying to reproduce small jumps of Lvy processes. Error bounds for the proposed procedure are provided and its performance is numerically assessed.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
- Ole E. Barndorff-Nielsen, 2003. "Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(2), pages 277-295.
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